How to get started building a dataset?

Thanks for the answer!
I want to make sure what you mean by the first part - is it a license thing that the data must only be used on the machine that has access?
You are right, I am interested in avoiding survivorship bias as much as possible. Ideally, I would like to select some data and then have all returned all stocks that are or have been in existence since that given date. But maybe that's not possible? In that case, should I somehow acquire a list of stocks in existence at the beginning date? If that is the case I guess I might miss companies that had a later IPO and then delisted.

I especially want to look at small and medium cap danish stocks. But again, ideally I would like to have data on all stocks and then later filter - to enable me to analyze for instance momentum as a function of market cap.

Thanks again for the answer. I am moving towards an idea of how to approach this - I have an okay experience level with Excel, but none with Eikon.

It seems like a primitive way to go at it then could be checking when the list of constituents changes, something like this:

LCOSEASHMMYY-LCOSEASHMMYY

I assume it returns a list and I can then step forward the date in the first term and see when something gets delisted. Then I can call the data I need for the initial list of constituents from beginning of test period until first change. Then repeat this until next change.
I would then only need to put it together, so that each equity forms a timeseries through all the time it is listed.
But maybe there is something way simpler.

I have looked around a lot, and there are some tutorials for simple things like downloading data for one stock. But I haven't found much about setting up a proper dataset and avoiding survivorship bias etc - thus all my questions here.